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作者：Novy-Marx, Robert; Velikov, Mihail
作者单位：University of Rochester; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We study the after-trading-cost performance of anomalies and the effectiveness of transaction cost mitigation techniques. Introducing a buy/hold spread, with more stringent requirements for establishing positions than for maintaining them, is the most effective cost mitigation technique. Most anomalies with less than 50% turnover per month generate significant net spreads when designed to mitigate transaction costs; few with higher turnover do. The extent to which new capital reduces strategy ...
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作者：Cingano, Federico; Manaresi, Francesco; Sette, Enrico
作者单位：European Central Bank; Bank of Italy
摘要：We quantify the real effects of the bank-lending channel exploiting the dramatic liquidity drought in interbank markets that followed the 2007 financial crisis as a source of variation in credit supply. Using a large sample of matched firm-bank data from Italy, we find had the interbank market not collapsed, investment expenditure would have been more than 20% higher and would have increased by around 30 cents per additional euro of available credit at the average firm. We also find that credi...
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作者：Baker, Malcolm; Mendel, Brock; Wurgler, Jeffrey
作者单位：Harvard University; National Bureau of Economic Research; Harvard University; New York University
摘要：We outline a dividend signaling model that features investors who are averse to dividend cuts. Managers with strong unobservable cash earnings pay high dividends but retain enough to be likely not to fall short next period. The model is consistent with a Lintner partial-adjustment model, modal dividend changes of zero, stronger market reactions to dividend cuts than increases, comparatively infrequent and irregular repurchases, and a mechanism that does not depend on public destruction of valu...
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作者：Campello, Murillo; Larrain, Mauricio
作者单位：Cornell University; National Bureau of Economic Research; Columbia University
摘要：Recent reforms across Eastern European countries have given more flexibility and information to parties to engage in secured debt transactions. The menu of assets legally accepted as collateral was enlarged to include movable assets (e.g., machinery and equipment). Generalized difference-in-differences tests show that firms operating more movable assets borrowed more as a result. Those firms also invested more, hired more, and became more efficient and profitable following the changes in the c...
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作者：Bolton, Patrick; Freixas, Xavier; Gambacorta, Leonardo; Mistrulli, Paolo Emilio
作者单位：Columbia University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Pompeu Fabra University; Bank for International Settlements (BIS); European Central Bank; Bank of Italy
摘要：We study how relationship lending and transaction lending vary over the business cycle. We develop a model in which relationship banks gather information on their borrowers, allowing them to provide loans to profitable firms during a crisis. Because of the services they provide, operating costs of relationship banks are higher than those of transaction banks. Relationship banks charge a higher intermediation spread in normal times, but offer continuation lending at more favourable terms than t...
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作者：Azar, Jose A.; Kagy, Jean-Francois; Schmalz, Martin C.
作者单位：Charles River Associates; Alphabet Inc.; Google Incorporated; University of Michigan System; University of Michigan
摘要：Firms until recently were effectively constrained to hold liquid assets in non-interest-bearing accounts. As a result, the cost of capital of firms' liquid-assets portfolios exceeded the return, especially when the risk-free interest rate was high. The spread between cost and return is the cost of carry. Changes in the cost of carry explain the dynamics of corporate cash holdings both in the United States and abroad, and the level of cost of carry explains the level of liquid-asset holdings ac...
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作者：Griffin, John M.; Maturana, Gonzalo
作者单位：University of Texas System; University of Texas Austin; Emory University
摘要：This paper examines apparent fraud among securitized nonagency loans using three indicators: unreported second liens, owner occupancy misreporting, and appraisal overstatements. We find that around 48% of loans exhibited at least one indicator of misrepresentation. Surprisingly, misreporting is similar in both low and full documentation loans and is associated with a 51% higher likelihood of delinquency. Two-thirds of loans with unreported second liens had the same originator issuing both the ...
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作者：Eraker, Bjorn; Shaliastovich, Ivan; Wang, Wenyu
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Pennsylvania; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：High expected inflation is known to predict low future real growth. We show that, relative to nondurable goods sectors of the economy, such predictability is significantly more pronounced in durable sectors. Consistent with this macroeconomic evidence, the equity returns of durable goods-producing firms have a larger negative exposure to expected inflation risks. We estimate a two-good recursive utility model that features persistent growth fluctuations and inflation nonneutrality for durable ...
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作者：Favilukis, Jack; Lin, Xiaoji
作者单位：University of British Columbia; University System of Ohio; Ohio State University
摘要：In standard production models, wage volatility is far too high, and equity volatility is far too low. A simple modification-sticky wages because of infrequent resetting together with a constant elasticity of substitution (CES) production function leads to both smoother wages and higher equity volatility. Further, the model produces several other hard-to-explain features of financial data: high Sharpe ratios, low and smooth interest rates, time-varying equity volatility and premium, a value pre...
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作者：Becht, Marco; Polo, Andrea; Rossi, Stefano
作者单位：Solvay SA; Universite Libre de Bruxelles; European Corporate Governance Institute; Pompeu Fabra University; Purdue University System; Purdue University
摘要：Shareholder voting on corporate acquisitions is controversial. In most countries, acquisition decisions are delegated to boards, and shareholder approval is discretionary, which makes existing empirical studies inconclusive. We study the U.K. setting in which shareholder approval is imposed exogenously via a threshold test that provides strong identification. U.K. shareholders gain 8 cents per dollar at announcement with mandatory voting, or $ 13.6 billion over 1992-2010 in aggregate; without ...
